wp06-14 - Bank of Canada Banque du Canada Working Paper...

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Unformatted text preview: Bank of Canada Banque du Canada Working Paper 2006-14 / Document de travail 2006-14 Forecasting Commodity Prices: GARCH, Jumps, and Mean Reversion by Jean-Thomas Bernard, Lynda Khalaf, Maral Kichian, and Sebastien McMahon ISSN 1192-5434 Printed in Canada on recycled paper Bank of Canada Working Paper 2006-14 April 2006 Forecasting Commodity Prices: GARCH, Jumps, and Mean Reversion by Jean-Thomas Bernard, 1 Lynda Khalaf, 2 Maral Kichian, 3 and Sebastien McMahon 4 1 Holder of the Chair on the Economics of Electrical Energy Dpartement dconomique and GREEN Universit Laval, Quebec, Canada G1K 7P4 jtber@ecn.ulaval.ca 2 Holder of the Canada Research Chair in Environment Dpartement dconomique and GREEN Universit Laval, Quebec, Canada G1K 7P4 and CIREQ, Universit de Montral, Quebec, Canada H3C 3J7 lynda.khalaf@ecn.ulaval.ca 3 Research Department Bank of Canada Ottawa, Ontario, Canada K1A 0G9 mkichian@bankofcanada.ca 4 Ministry of Finance Quebec City, Quebec, Canada G1R 5L3 and GREEN, Universit Laval, Quebec, Canada G1K 7P4 sebastien.mcmahon@finances.gouv.qc.ca The views expressed in this paper are those of the authors. No responsibility for them should be attributed to the Bank of Canada or to the Quebec Ministry of Finance. iii Contents Acknowledgements. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . iv Abstract. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . v Rsum . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . vi 1. Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 2. The Competing Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 3. Forecast Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 4. Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9 References. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10 iv Acknowledgements This work was supported in part by the Institut de Finance mathmatique de Montreal (IFM2), the Canadian Network of Centres of Excellence (program on Mathematics of Information Technology and Complex Systems [MITACS]), the Social Sciences and Humanities Research Council of Canada, the Fonds FQRSC (Government of Quebec), the Chair on the Economics of Electrical Energy, and the Canada Research Chair in Environment. We would like to thank Paul Corrigan, Ren Dufresne, Yves Richelle, Sylvie Giquel, and Robert Weiner. v Abstract Fluctuations in the prices of various natural resource products are of concern in both policy and...
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wp06-14 - Bank of Canada Banque du Canada Working Paper...

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